Question ID: 2276
Regulation Reference: Guidelines on look-through approach
Topic: Solvency Capital Requirement (SCR)
Article: Art. 84.4 amending Delegated Regulation (EU) 2015/35 supplementing Directive 2009/138/EC( Paragraphs 1 and 2 shall not apply to investments in related undertakings, other than investments in respect of which all of the following conditions are met: )
Status: Final
Date of submission: 09 Apr 2021
Question
With respect to the mentioned article, there are two possible interpretations:
- A look-through approach can be applied to interests in related undertakings when the listed requirements are met.
- It is only possible to apply look-through approach to investment undertakings related when they do not meet the listed requirements. Could you indicate which is the correct interpretation?
EIOPA answer
There are two cases:
1. Investments in related undertakings which are “collective investment undertakings and other investments packaged as funds":
A look-through approach shall apply when calculating the Solvency Capital Requirement.
2. Investments in related undertakings which are not “collective investment undertakings and other investments packaged as funds"
A look-through approach shall apply to market risk, underwriting risk, and counterparty risk where the conditions listed in Article 84(4) of the Commission Delegated Regulation (EU) 2015/354 are met.
Where any of the conditions are not met, a look-through approach shall not be applied.